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Kapitalmarktanomalien und Rendite-Risiko-Beziehung bei einem ineffizienten Marktindex

Hamerle, Alfred ; Rösch, Daniel



Abstract

Many empirical studies have found little relation between sample mean returns of securities and estimated betas. Some of the studies have uncovered variables other than beta (e.g. firm size, ratio of book-to-market value, price/earnings ratio) that have power in explaining the sample cross-sectional variation in mean returns. The present paper shows that a possible explanation is that market ...

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